在國際金融領域中，購買力平價理論一直扮演著重要的角色，其實證探討文獻眾多，卻無法獲得一致的結果，其中原因可能是過去的文獻採用線性假設，實在無法有效掌握匯率非線性的波動過程，且有不少的文獻已證明匯率具有非線性的走勢，所以利用非線性模型進行購買力平價理論的檢定，應該更合乎匯率的走勢。故本文應用平滑轉換模型的兩步驟單根檢定，以及結構性改變之極小化LM單根檢定以探討實質匯率，檢驗實質匯率是否合乎購買力平價理論。
本文選取亞太地區國家-台灣、韓國、新加坡、泰國、菲律賓、馬來西亞和印尼為實證研究的對象，以1980年至2005年間的季資料，探討物價水準的選取及貨幣基礎的選取對購買力平價理論是否有所影響。

There has been significant interest in the empirical performance of the Purchasing Power Parity (PPP) hypothesis. Initial studies were, in general, unfavorable for PPP. Recent research has found that trend-break unit root test derived form linear models do not support the hypothesis of long-run PPP for real exchange rates. In this paper, we propose unit root tests that use STR models and minimum LM unit root tests that endogenously determine structural breaks to investigate long-run PPP in real exchange rates for Asia Pacific countries.

目錄

第一章 緒論……………………………………………………………………… 1
第二章 文獻回顧………………………………………………………………… 4
第一節 以最小平方法檢定購買力平價理論……………………………… 4
第二節 以傳統的單根檢定與共積檢定探討購買力平價理論…………… 6
第三節 應用非線性模型探討購買力平價理論…………………………… 8
第三章 研究方法…………………………………………………………………12
第一節 平滑轉換自我迴歸模型……………………………………………13
第二節 平滑轉換模型的兩步驟單根檢定…………………………………15
第三節 結構性改變之極小化LM單根檢定……………………………… 19
第四章實證結果分析…………………………………………………………… 24
第一節 資料說明與初步的實證結果-ADF檢定……………………………24
第二節 兩步驟單根檢定的實證結果………………………………………26
第三節 極小化LM單根檢定的實證結果………………………………… 33
第五章 結論………………………………………………………………………42
參考文獻………………………………………………………………………… 44
附圖一：各國名目匯率圖表-以美元為貨幣基礎………………………………47
附圖二：各國實質匯率圖表-以美元為貨幣基礎，CPI為物價指數………… 48
附圖三：各國實質匯率圖表-以美元為貨幣基礎，WPI為物價指數………… 49
附圖四：各國實質匯率圖表-以日幣為貨幣基礎，CPI為物價指數……………50
附圖五：各國實質匯率圖表-以日幣為貨幣基礎，WPI為物價指數……………51
附表一：各國的主要貿易伙伴國……………………………………………………52
附表二：在亞洲金融風暴時，各國匯率的跌幅……………………………………54

中文參考文獻：
林世昌(1995)，“結構性改變之下的單根檢定：平滑轉換迴歸模型的應用”，碩
士論文，國立台灣大學經濟學研究所。
林來福(1996)，“結構性改變下枝單根與共積檢定”，碩士論文，國立中正大學
國際經濟研究所。
紀燕翎(2002)，“購買力平價說對匯率動態的解釋能力？不同開發程度國家匯率
實證結果”，碩士論文，國立暨南國際大學經濟學研究所。
廖元宏(2002)，“以STAR模型研究新台幣實質有效匯率”，碩士論文，國立中
山大學財務管理研究所。

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